Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return -0.0799
Annualized Std Dev 0.4919
Annualized Sharpe (Rf=0%) -0.1624

Row

Daily Return Statistics

Close
Observations 4296.0000
NAs 1.0000
Minimum -0.5927
Quartile 1 -0.0085
Median 0.0001
Arithmetic Mean 0.0001
Geometric Mean -0.0003
Quartile 3 0.0089
Maximum 1.0597
SE Mean 0.0005
LCL Mean (0.95) -0.0008
UCL Mean (0.95) 0.0011
Variance 0.0010
Stdev 0.0310
Skewness 8.1392
Kurtosis 383.6708

Downside Risk

Close
Semi Deviation 0.0197
Gain Deviation 0.0306
Loss Deviation 0.0243
Downside Deviation (MAR=210%) 0.0234
Downside Deviation (Rf=0%) 0.0197
Downside Deviation (0%) 0.0197
Maximum Drawdown 0.9733
Historical VaR (95%) -0.0299
Historical ES (95%) -0.0570
Modified VaR (95%) NA
Modified ES (95%) NA
From Trough To Depth Length To Trough Recovery
2013-12-03 2020-03-18 NA -0.9733 1837 1583 NA
2007-07-13 2008-10-10 2013-02-06 -0.7770 1403 316 1087
2005-08-01 2005-12-28 2006-11-15 -0.2000 328 105 223
2013-03-28 2013-06-24 2013-12-02 -0.1607 173 61 112
2004-03-02 2004-05-10 2004-09-20 -0.1542 140 49 91

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
2004 NA 0 -0.2 0.2 -0.8 -0.7 0.7 0.2 2.3 1.5 1 0.9 5.2
2005 0.4 1.2 0.9 0.3 -0.1 2.9 -0.4 -1.1 0 0.5 -0.4 1.5 5.6
2006 1.7 0.5 -3.1 -0.2 0.2 0.9 -0.3 1.2 0.7 -1.4 0.5 0.8 1.5
2007 1.7 0.5 1.1 -1.5 -0.3 2.5 -6 2.6 -0.1 0 2 2.4 4.6
2008 2.9 -2.5 1.3 0.2 0 -0.7 2.7 -0.8 1.5 1.2 -7.5 2.2 -0.1
2009 0.2 3.1 -3.1 1.6 0.9 -1.8 0.9 -6 -4.9 0.1 -0.8 -4.9 -14.1
2010 1.2 0.1 2.5 0.7 -1.4 -0.8 1.2 1.5 0.5 2.7 2.2 2.7 13.9
2011 -0.1 -0.1 -0.9 0.5 0 0.1 1.3 -1.1 -2.2 -1.7 1.6 0 -2.6
2012 1.7 -0.5 0 -0.8 0.7 2.9 -0.7 0.6 -0.1 0 0.8 2.1 6.9
2013 0.9 0.4 -1.2 -0.8 -2.5 1.6 -0.3 -3.9 0.9 -0.6 1.3 0.8 -3.6
2014 1.5 0.8 0.9 -0.1 0.5 -0.2 -1 0.9 -0.6 -0.3 -3.6 -0.8 -2.3
2015 0.5 0.1 0.3 0.1 -0.2 -1.6 -2.2 -0.7 3.4 3 -1.4 8.1 9.4
2016 -3.2 2.6 -2 1.2 4 -0.1 -2.4 -1 1 0.4 -0.9 -0.1 -0.7
2017 4.5 -0.4 1.4 -0.5 0.7 2.6 1.1 0.8 -0.1 2.2 1.5 0.7 15.3
2018 2 -1.2 1.5 0.2 0.6 0.8 0.1 -0.7 1.2 2 0 0.5 7.2
2019 0.7 0.7 1.8 0.7 -0.8 -0.1 -1.3 0.5 -1.8 1.6 -0.4 0.7 2.1
2020 -1.4 -2.7 -5.1 -6.9 -1.3 -1.5 -1.1 -0.7 -1.1 -1.6 1 0.3 -20.2
2021 0.3 3.8 1.9 NA NA NA NA NA NA NA NA NA 6.1

Row

Price Chart

# tidytable [6 × 21]
  datadate   Close tic.x   spy    ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y   gld ret.y ret_1W.y
  <date>     <dbl> <chr> <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl> <chr> <dbl> <dbl>    <dbl>
1 2004-02-25  100  SPY    115.  4.20e-3 -0.0068   -0.0086   0.102     0.360  -0.119   -0.0755 <NA>     NA    NA       NA
2 2004-02-26  103. SPY    115.  6.00e-4 -0.0025    0.0023   0.0886    0.381  -0.105   -0.099  <NA>     NA    NA       NA
3 2004-02-27  104. SPY    115.  7.00e-4  0.00120   0.0146   0.0852    0.364  -0.0844  -0.0979 <NA>     NA    NA       NA
4 2004-03-01  104  SPY    116.  9.90e-3  0.0137    0.0236   0.092     0.368  -0.0767  -0.0726 <NA>     NA    NA       NA
5 2004-03-02  104. SPY    115. -5.90e-3  0.0095    0.0176   0.0848    0.373  -0.0759  -0.0692 <NA>     NA    NA       NA
6 2004-03-03  103. SPY    116.  1.80e-3  0.0071    0.0151   0.0752    0.398  -0.0935  -0.0637 <NA>     NA    NA       NA
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>

Row

Rolling Performance Chart

Row

Snail Trail Chart